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Cointegration analysis with state space models

Wagner, Martin - 2010

Persistent link: https://www.econbiz.de/10003931105

Cointegration analysis with state space models

Wagner, Martin - 2010

This paper presents and exemplifies results developed for cointegration analysis with state space models by Bauer and … Wagner in a series of papers. Unit root processes, cointegration and polynomial cointegration are defined. Based upon these … employed for cointegration analysis. By means of detailing the cases most relevant for empirical applications, the I(1), MFI(1 …

Persistent link: https://www.econbiz.de/10009733805

Missing in Asynchronicity : A Kalman-EM Approach for Multivariate Realized Covariance Estimation

Corsi, Fulvio; Peluso, Stefano; Audrino, Francesco - 2013

estimate the covariance matrix of the latent states through a Kalman smoother and Expectation Maximization (KEM) algorithm …

Persistent link: https://www.econbiz.de/10014173246

Measuring financial cycles in a model-based analysis : empirical evidence for the United States and the euro area

Galati, Gabriele; Hindrayanto, Irma; Koopman, Siem Jan; … - 2016

We adopt an unobserved components time series model to extract financial cycles for the United States and the five largest euro area countries over the period 1970 to 2014. We find that credit, the credit-to-GDP ratio and house prices have medium-term cycles which share a few common statistical...

Persistent link: https://www.econbiz.de/10011456728

Nearly Efficient Likelihood Ratio Tests for Seasonal Unit Roots

Jansson, Michael - 2009

In an important generalization of zero frequency autoregressive unit root tests, Hylleberg, Engle, Granger, and Yoo (1990) developed regression-based tests for unit roots at the seasonal frequencies in quarterly time series. We develop likelihood ratio tests for seasonal unit roots and show that...

Persistent link: https://www.econbiz.de/10013153597

Nearly Efficient Likelihood Ratio Tests of the Unit Root Hypothesis

Jansson, Michael - 2009

Seemingly absent from the arsenal of currently available "nearly efficient" testing procedures for the unit root hypothesis, i.e. tests whose local asymptotic power functions are indistinguishable from the Gaussian power envelope, is a test admitting a (quasi-)likelihood ratio interpretation. We...

Persistent link: https://www.econbiz.de/10013156595

Nearly efficient likelihood ratio tests of a unit root in an autoregressive model of arbitrary order

Brien, Samuel; Jansson, Michael; Nielsen, Morten Ørregaard - 2020

We study large-sample properties of likelihood ratio tests of the unit root hypothesis in an autoregressive model of arbitrary, finite order. Earlier research on this testing problem has developed likelihood ratio tests in the autoregressive model of order one, but resorted to a plug-in approach...

Persistent link: https://www.econbiz.de/10012216176

Wavelet Power : Wavelet Energy Ratio Unit Root Tests

Trokic, Mirza - 2014

This paper uses wavelet theory to propose a frequency domain nonparametric and tuning parameter free family of unit …

Persistent link: https://www.econbiz.de/10013065650

Unit Root Tests with Wavelets

Gencay, Ramazan - 2011

This paper develops a wavelet (spectral) approach to test the presence of a unit root in a stochastic process. The wavelet approach is appealing, since it is based directly on the different behavior of the spectra of a unit root process and that of a short memory stationary process. By...

Persistent link: https://www.econbiz.de/10012757043

Spurious Trend and Cycle in the State Space Decomposition of a Time Series with a Unit Root

Nelson, Charles R. - 2021

Recent research has proposed the state space (88) framework for decomposition of GNP and other economic time series into trend and cycle components, using the Kalman filter. This paper reviews the empirical evidence and suggests that the resulting decomposition may be spurious, just as...

Persistent link: https://www.econbiz.de/10013243662

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